Volatility linkage among currency futures markets during US trading and non-trading periods

Journal of Multinational Financial Management

Volumn 9, Issue 2, 1999, Pages 129-153

  Fung, Hung Gay ^a   Patterson, Gary A ^b,c  

^a UNIVERSITY OF MISSOURI ST LOUIS   (United States)

^b STATE UNIVERSITY OF NEW YORK   (United States)

^c UNIVERSITY OF BALTIMORE   (United States)

Author keywords

Currency markets; Vector autoregressive analysis; Volatility linkage

Indexed keywords

EID: 0033093052     PISSN: 1042444X     EISSN: None     Source Type: Journal    
DOI: 10.1016/s1042-444x(98)00050-4     Document Type: Article

References (17)

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